St. Louis Fed Financial Stress Index Decreases


Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

Financial stress decreased in the latest reporting week according to the St. Louis Fed’s Financial Stress Index (STLFSI), reversing a slight increase in the index the week prior. For the week ending May 13, the index measured -0.985—a decline of 0.064 basis points from the prior week’s revised value of -0.921. 

STLFSI Weekly Change graph

Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the index, five more than last week. The two largest negative contributions were made by the three-month commercial paper spread (CPS_3mo) and the TED Spread (TED). As both of these spreads are measures of the credit premium over the three-month Treasury bill, their negative contributions are likely due to increasing yields on the three-month Treasury bill last week. Six indicators contributed positively to the weekly change in the index, which was six less than the previous week. The largest positive contribution was made by the financial markets’ expected inflation rate over the next 10 years (BIR_10yr).

STLFSI Yearly Change Graph

Over the past year, 13 of the 18 indicators made a positive contribution to the index, the same number as last week. Five indicators made a negative contribution, which was also the same number as the previous week. The two largest positive contributions over the past year were made by the difference between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS) and by the Merrill Lynch High-Yield Corporate Master II Index itself (Mlynch_HighYld_MasterII). For the 13th consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). 

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.

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The St. Louis Fed Financial Stress Index (STLFSI)

Link to STLFSI in FRED

The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.

How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.

Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.

More information
For additional information on the STLFSI and its construction, see "Measuring Financial Market Stress" and the related appendix.

FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.

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